Simple entropic derivation of a generalized Black-Scholes option pricing model
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Publication:1612932
DOI10.3390/e2020070zbMath1009.91039OpenAlexW2165715030MaRDI QIDQ1612932
Publication date: 10 September 2002
Published in: Entropy (Search for Journal in Brave)
Full work available at URL: http://www.mdpi.org/entropy/list00.htm
Related Items (6)
Brexit and foreign exchange market expectations: could it have been predicted? ⋮ Option price calibration from Rényi entropy ⋮ Measurement of relative inequity and Yaari's dual theory of risk. ⋮ Estimating utility functions using generalized maximum entropy ⋮ Implications of quantal response statistical equilibrium ⋮ Entropic calibration revisited
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